Mostrando recursos 221 - 240 de 359

  1. Sieve-based inference for infinite-variance linear processes

    Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
    We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finite-order autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

  2. Sieve-based inference for infinite-variance linear processes

    Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
    We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finite-order autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

  3. Sieve-based inference for infinite-variance linear processes

    Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
    We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finite-order autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

  4. Sieve-based inference for infinite-variance linear processes

    Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
    We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finite-order autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

  5. Sieve-based inference for infinite-variance linear processes

    Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
    We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finite-order autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

  6. Sieve-based inference for infinite-variance linear processes

    Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
    We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finite-order autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

  7. Sieve-based inference for infinite-variance linear processes

    Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
    We extend the available asymptotic theory for autoregressive sieve estimators to cover the case of stationary and invertible linear processes driven by independent identically distributed (i.i.d.) infinite variance (IV) innovations. We show that the ordinary least squares sieve estimates, together with estimates of the impulse responses derived from these, obtained from an autoregression whose order is an increasing function of the sample size, are consistent and exhibit asymptotic properties analogous to those which obtain for a finite-order autoregressive process driven by i.i.d. IV errors. As these limit distributions cannot be directly employed for inference because they either may not exist...

  8. Misspecification and Expectations Correction in New Keynesian DSGE Models

    Angelini, Giovanni; Fanelli, Luca
    Abstract: This paper focuses on the dynamic misspecification that characterizes the class of small-scale New-Keynesian models and provides a `natural' remedy for the typical difficulties these models have in accounting for the rich contemporaneous and dynamic correlation structure of the data, generally faced with ad hoc shock specifications. We suggest using the `best fitting' statistical model for the data as a device through which it is possible to adapt the econometric specification of the New-Keynesian model. The statistical model may feature an autocorrelation structure that is more involved than the autocorrelation structure implied by the structural model's reduced form solution under rational expectations, and it is treated...

  9. Exchange rate Inflation and Unemployment in East European Economies: the Case of Poland and Hungary

    Golinelli, Roberto; Orsi, Renzo
    The aim of this paper is to model the impact of exchange rate both inlation and unemployment variables in economics which are characterized by important structural changes, i.e. A transition phase moving from centralised economies towards market economies. This phenomeno, which is common to east european countries, stressed difefrent effects both for what concerns the behaviour of economic agents and for what concerns fiscal and monetary measures adopted by governments and aiming to keep under control the inflation-unemployment trade off. Time series relatioships between these variables are investigated within an econometric model. Economic theory and available data on the hypothetically...

  10. Modelling inflation in EU accession countries: the case of the Czech Republic, Hungary and Poland.

    Golinelli, Roberto; Orsi, Renzo
    Inflation in Central and East European countries varied considerably over the transition phase, and econometric relationships between prices, money, wages and exchange rates are said to have been unstable during this period. In order to shed some light on the issue, this paper analyses some empirical models of the inflation process in the three earliest east European transition economies: the Czech Republic, Hungary and Poland. In particular, we first look at inflation within the context of multivariate cointegration, where domestic and foreign price determinants are initially assessed in separate blocks (each single-theory based) in order to obtain a number of...

  11. Disclosure of Personal Information under Risk of Privacy Shocks - 2nd ed

    Feri, Francesco; Giannetti, Caterina; Jentzsch, Nicola
    Breaches of the security of personal data collected by firms are reported almost daily. Companies are under an increasing political pressure to notify individuals whose privacy as been breached. At the moment, we know virtually nothing about the behavioral impact of data breach notifications. We present the results of an experimental study designed to investigate how breach notifications change the individual’s propensity to provide sensitive personal information to firms. In contrast to the theory (where breach notifications have no behavioral effect), our main result shows that notifications induce a sub-group of individuals to disclose less information to a firm, i.e. those with...

  12. Women's Employment, Children and Transition: An Empirical Analysis on Poland

    Bardasi, Elena; Monfardini, Chiara
    The effect of transition from centrally planned to market economies on female employment is unclear a-priori. Many studies have pointed out that the emergence of labour markets created obstacles to but also new opportunities for women’s employment. A frequently mentioned potential explanation of the lower female participation during the transition period is represented by the reduction of childcare facilities, which created a major constraint on the participation of women with dependent children. However, we must not forget the effect of forces of opposite sign, first of all the household necessity of having two earners during the turbulent transition period. The aim of this paper is to give...

  13. Análisis de competitividad de las exportaciones agroalimentarias de la Unión Europea a nivel de sus Estados Miembros: Un estudio transversal.

    Ruiz Chico, José; Universidad de Cádiz
    La economía mundial real ha padecido desde 2008 una gran crisis que ha afectado a todos los países occidentales y a las distintas ramas de actividad. Con este planteamiento, en este trabajo intentaremos analizar sus efectos sobre las exportaciones de la Unión Europea, centrándonos en las agroalimentarias. Bajo esta perspectiva, nuestro principal objetivo será realizar un análisis de la competitividad de las exportaciones, para identificar los países de la Unión Europea más fuertes y más débiles, en el periodo 2007-2012, por ser el año anterior a la crisis y el último año con datos disponibles tanto a nivel de datos...

  14. What can we learn about correlations from multinomial probit estimates?

    Monfardini, Chiara; Santos Silva, J.M.C.
    It is well known that, in a multinomial probit, only the covariance matrix of the location and scale normalized utilities are identified. In this study, we explore the relation between these identifiable parameters and the original elements of the covariance matrix, to find out what can be learnt about the correlations between the stochastic components of the non-normalized utilities. We show that, in certain circumstances, it is possible to obtain information on these behavioural parameters and define appropriate tools for inference. We illustrate the usefulness of our results in applied settings using an example.

  15. Volatility, Jumps and Predictability of Returns: a Sequential Analysis

    Bordignon, Silvano; Raggi, Davide
    In this paper we propose a sequential Monte Carlo algorithm to estimate a stochastic volatility model with leverage effects and non constant conditional mean and jumps. We are interested in estimating the time invariant parameters and the non-observable dynamics involved in the model. Our idea relies on the auxiliary particle filter algorithm mixed together with Markov Chain Monte Carlo (MCMC) methodology. Adding an MCMC step to the auxiliary particle filter prevents numerical degeneracies in the sequential algorithm and allows sequential evaluation of the fixed parameters and the latent processes. Empirical evaluation on simulated and real data is presented to assess...

  16. Households Forming Inflation Expectations: Who Are the 'Active' and 'Passive' Learners?

    Easaw, Joshy; Golinelli, Roberto
    Recent research has established that households learn from professional forecasters as they form their inflation expectations. Professionals forecasts are transmitted, or ‘absorbed’, throughout the population slowly but eventually. This provides the microfoundations for ‘sticky information expectations’. The present paper considers whether absorption rates take place heterogeneously amongst households. We consider whether various segments of the population absorb the professional’s forecasts at different rates. Using a unique survey-based dataset covering various segments of the UK population we identify ‘active’ and ‘passive’ learners in the population. ‘Active’ and ‘passive’ learners are identified and distinguished by their respective absorption rates. The present analyses also consider...

  17. Policy Rules, Regime Switches, and Trend Inflation: An Empirical Investigation for the U.S.

    Castelnuovo, Efrem; Greco, Luciano; Raggi, Davide
    This paper estimates Taylor rules featuring instabilities in policy parameters, switches in policy shocks' volatility, and time-varying trend inflation using post-WWII U.S. data. The model embedding the stochastic target performs better in terms of data-fit and identification of the changes in the FOMC's chairmanships. Policy breaks are found not to be synchronized with variations in policy shocks' volatilities. Finally, we detect a negative correlation between systematic monetary policy aggressiveness and inflation gap persistence.

  18. Long memory and nonlinearities in realized volatility: a Markov switching approach

    Bordignon, Silvano; Raggi, Davide
    Goal of this paper is to analyze and forecast realized volatility through nonlinear and highly persistent dynamics. In particular, we propose a model that simultaneously captures long memory and nonlinearities in which level and persistence shift through a Markov switching dynamics. We consider an efficient Markov chain Monte Carlo (MCMC) algorithm to estimate parameters, latent process and predictive densities. The insample results show that both long memory and nonlinearities are significant and improve the description of the data. The out-sample results at several forecast horizons, show that introducing these nonlinearities produces superior forecasts over those obtained from nested models.

  19. The last fifteen years of stagnation in Italy: A Business Cycle Accounting Perspective

    Orsi, Renzo; Turino, Francesco
    In this paper, we investigate possible sources of declining economic growth performance in Italy starting around the middle of the ’90s. A long-run data analysis suggests that the poor performance of the Italian economy cannot be ascribed to an unfortunate business cycle contingency. The rest of the euro area countries have shown better performance, and the macroeconomic data show that the Italian economy has not grown as rapidly as these other European economies. We investigate the sources of economic fluctuations in Italy by applying the Business Cycle Accounting procedure introduced by Chari, Kehoe and McGrattan (2007). We analyze the relative...

  20. ¿Adónde va la ciencia política? Reflexiones sobre la afirmación del profesor Sartori de que «la ciencia política estadounidense no va a ningún lado»

    Laitin, David D.
    La ciencia política sigue siendo una disciplina joven, pero la investigación dentrode ella se ha solidificado en un conjunto de programas bien definidos que ha involucradoa una comunidad internacional de estudiosos. Aquí identificaré tres de esos programasa fin de mostrar la constante vitalidad intelectual de la disciplina. Primero, en teoríanormativa, los politólogos están desarrollando las implicaciones de la Teoría de la justiciade John Rawls (1971) en un programa que ha revitalizado el liberalismo para que tengaen cuenta temas políticos importantes de nuestro tiempo. Segundo, en un programaque alguna vez estuvo insertado de manera burocrática en la «Política Estadounidense»(American Politics), los...

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